RT Journal Article
SR Electronic
T1 What’s in Your Benchmark? A Factor Analysis of Major Market Indexes
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 46
OP 59
DO 10.3905/jpm.2018.44.4.046
VO 44
IS 4
A1 Madhavan, Ananth
A1 Sobczyk, Aleksander
A1 Ang, Andrew
YR 2018
UL http://jpm.iijournals.com/content/44/4/46.abstract
AB The authors examine the factor exposures of several popular market-capitalization indexes and how they vary over time. The authors find that most market-capitalization-weight indexes are effectively exposed to only two or three factors, with value and momentum being increasingly dominant. They find that the proportion of index movements explained by factors has materially increased in recent years, which is consistent with a more top-down, macro-driven environment or the increasing importance of economy-wide risks for financial markets.